In the Santi Parv Mokshadharma of the Mahabharata, Ved Vyasa has described the story of the birth of Shukdevaji.A brief description of the event follows :
Once Lord Shiva, along with his evilspirits, was wandering atop the Menu Mountain. Mata Parvati was also with him. At that time, ved Vyasa prayed to Lord Shiva for a son who would be a luminous as fire, as tolerant as the earth, as wide as the sky and as fast as air. Lord Shiva gave his blessings readily.
After getting blessing from Lord Shiva, on day Vyasa was churning arni (wood used for havan) to obtain fire. Suddenly, a boy as brilliant as fire came out from the kund. He was named Shukdeva.
At that very moment, the Ganga appeared and performed his consecration. All material required for meditation fell from heavens and the Gods prayed for him. The air showered flowers on him. Lord applause was heard all around. Every one were pleased. Bhagwan Uma Shanker performed the sacred thread ceremony of Shukdevaji. Indra offered divine clothes, a rod and a pot to him. Soon after his birth, hukdevaji left for the forest.
In addition to this, there is one another tale known as the Amar Katha, which was narrated by Lord Shiva to Mata Parvati on Mount kailash. The Amar katha is in fact Bhagvata katha itself and while it was being narrated by Lord Shiva, a parrot heard it. Fourteen years after this incident, the parrot took birth as the son of Vyasa, became famous as Shukdevaji.
When Shukdeva was leaving for the forest, his father Vyasa followed him. He passed a group of women bathing in the Ganga. The women, on seeing Shukadevaji, did not cover themselves despite the fact that he was not wearing any clothes. However, When Vyasaji passed by fully clothed, the women hurriedly veiled themselves. Vyasaji asked the women the reason behind the difference in their reactions to him and his son. They replied that Vyasaji was able to differentiate between men and women. But his son did not know the difference between the two. He always kept himself engaged in Brahma. So, it was useless for the women to keep themselves veuled before Shukdevaji.
Incidentally, this shukratal is the place where Srimad Bhagavata katha was spoken by Shukdevaji.
‘We pay our obeisance to Shukadevaji, the best of mystic sages and a manifestation of the absolute truth. He saved Maharaja Parikshit, who was bitten by a snake, from material existence.’